TRADERTALK
trading session. Te trading desk re-evaluates the trading models at frequent intervals during the day.
What electronic trading platforms does QFS find most appropriate to use and what factors influenced your choice?
We chose to develop a proprietary trading system in- house nearly two decades ago. Our approach to risk control, specifically our implementation of draw-down control in real time, requires a custom approach.
How did you go about building your trading desk IT infrastructure and was the trading software and connectivity technology provided by third party vendors?
Our trading system infrastructure has naturally evolved over the last two decades. Our proprietary C++ framework and programs were all developed in house by the firm’s technology and research staff in consultation with our traders. Tis ensures a deep understanding of our trading system’s internals, which we view as one of our core competencies. We have traditionally not relied on 3rd party vendors in this area unless source code was part of the delivery, and even then only for things like user interface tools.
In order to maintain an object- oriented infrastructure that can adapt to change over the long term, we have constantly reevaluated the architecture and determined when code reuse, refactoring, or reengineering various modules was the right choice for the problem at hand. Some elements of the code date back nearly twenty years, but the overall system is constantly growing and changing, and is now nearly a million lines of C++ code just for the production code base. Data and data management are obviously a critical part of our technology infrastructure as well, and our programmers are adept with the APIs of the leading market data vendors, including Bloomberg and Tomson Reuters.
Technology infrastructure also helps to manage operational risk. We endeavor to design high availability into all of our critical business processes, and hardware and software solutions play a critical role there. Technology can eliminate single points of failure, and facilitates real time replication to our backup site. We maintain and regularly test a business continuity plan that is robust and very detailed, and we have backup sites in Stamford, CT and Wappingers Falls, NY which together can quickly take on the primary site role.
164 | july 2012 e-FOREX
What new strategies and products has QFS been exploring as part of your continuing efforts to widen the range of currency investment solutions and customised services you make available to clients?
For the past few quarters our primary emphasis has been in developing FX volatility trading models. Beyond that, modifications to some currency forecasts incorporating new data sources and the addition of a few new currency pairs are items that are also important initiatives. Again, because our expected returns are based on economy-specific implementations of broad fundamental trading theses, adding new assets does take considerable time and care.
Looking ahead, where do you see the main challenges facing QFS as you seek new ways for capturing and exploiting investment opportunities with currencies whilst maintaining the key strengths and operational advantages of your investment and risk management services?
Jim: Te firm has an academic environment, meaning researchers have plenty of time and quiet to focus on investment problems. Our ideas come from our own model and our quarterly statistical reviews of our models, changes in markets and shifts in global policies, and reading papers and through internal discussions. We think about the global economic environment. We study the world economies
and determine what is working and what isn’t. Are we missing any risks or new opportunities out there?
A constant challenge is to balance very different mentalities required to manage quality research. One mentality must focus on details and maintain a precise, accurate process for insuring the accuracy of new research and the error-free production of models currently invested. Another mentality requires the researcher to follow current events, think creatively about new ways to quantify and express market and economic processes in abstract ways, and think of how to combine data to test new approaches. Te kind of stimulus and environment needed to derive mathematical formulae, check data, review computer code, and keep abreast of markets and events can be very different. Finding individuals who have the talent, training and enthusiasm for such a broad range of endeavours is especially challenging.
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